18 of 22 people found the following review helpful
Phenomenal Tour De Force,
Verified Purchase(What's this?)
This review is from: Expected Returns: An Investor's Guide to Harvesting Market Rewards (Kindle Edition)
There really isn't anything like this book around which is why it is so remarkable. Ilmanen starts with a review yet very practicioner oriented review of credit risk, bond risk, and equity risk premia before delving into detailed yet readable analyses of return strategies, why they work, how their success is dependent upon states of the world (ie, carry trading has a great sharpe but doesn't help you in a leverage unwind when your equity book is blowing up to) and how blending these strategies and approaches can materially improve returns and more importantly, reduce risk. It is this overlay of styles, asset classes and risk factors creating a multidimensional approach to sources of returns and risk that makes it truly unique.
I say all this as someone who does equities/credit/EM for a living and thus isn't a career systematic macro trader. For people like me this book is invaluable because it allows a more nuanced view of risk factors and sources of returns in an alpha oriented book that can easily become quite concentrated in ways that are not obvious at first. There is so much more to delve into with regards to integrating this into my work but suffice to say it is a small price to pay to learn some of the nuts and bolts of what allows Brevan Howard to manage risk so well.